- The RPV factor (Renewed Correlation of Price and Volume) integrates intraday and overnight information by dividing price-volume into four quadrants. It leverages monthly IC averages to identify reversal and momentum effects. The factor incorporates "volume" information in correlation form, optimizing intraday and overnight price-volume relationships to create a robust selection factor[6][1][7] - The SRV factor (Smart Renewed Volume) splits intraday price movements into morning and afternoon segments, calculating minute-level "smart" indicators. It identifies the 20% of afternoon minutes with the highest "smart" indicator values as informed trading periods. The factor uses turnover rates during these periods and replaces overnight turnover rates with the last 30-minute turnover rate of the previous day, combining the best-performing intraday and overnight price-volume correlation factors[6][1][7] - The RPV factor achieved an annualized return of 14.44%, annualized volatility of 7.71%, IR of 1.87, monthly win rate of 72.46%, and maximum drawdown of 10.63% during the backtest period from January 2014 to July 2025[7][10] - The SRV factor achieved an annualized return of 17.15%, annualized volatility of 6.49%, IR of 2.64, monthly win rate of 74.64%, and maximum drawdown of 3.74% during the backtest period from January 2014 to July 2025[7][10] - In July 2025, the RPV factor's 10-group long portfolio returned 5.18%, the short portfolio returned 5.58%, and the long-short portfolio returned -0.39%[10] - In July 2025, the SRV factor's 10-group long portfolio returned 5.66%, the short portfolio returned 5.81%, and the long-short portfolio returned -0.15%[10]

证券研究报告·金融工程·金工定期报告 金工定期报告 20250701 证券分析师 高子剑 执业证书：S0600518010001 021-60199793 gaozj@dwzq.com.cn 证券分析师 庞格致 执业证书：S0600524090003 panggz@dwzq.com.cn 证券分析师 凌志杰 执业证书：S0600525040007 lingzhj@dwzq.com.cn 相关研究 新价量相关性因子绩效月报 20250630 2025 年 07 月 01 日 [Table_Tag] [Table_Summary] 报告要点 《 新 价 量 相 关 性 因 子 绩 效 月 报 20250530》 2025-06-06 《"技术分析拥抱选股因子"系列研究 （十四）：RPV 聪明版——聪明换手率 是更好的配料》 2023-09-27 东吴证券研究所 1 / 7 请务必阅读正文之后的免责声明部分 ◼ 新价量相关性 RPV 因子多空对冲绩效（全市场）：2014 年 1 月至 2025 年 6 月，新价量相关性 RPV 因子在全体 A 股（剔除北交所股票）中， 10 分组多空对冲的年化收益为 14.57%， ...